Direct use of regression quantiles to construct confidence sets in linear models

DOI10.1214/AOS/1033066210zbMATH Open0853.62040OpenAlexW1988791836MaRDI QIDQ1922407FDOQ1922407

Authors: Kenneth Q. Zhou, Stephen Portnoy 

Publication date: 7 January 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1033066210

Recommendations

• A direct approach to inference in nonparametric and semiparametric quantile models
• Small sample performance of quantile regression confidence intervals
• Statistical inference on heteroscedastic models based on regression quantiles
• Simultaneous confidence interval for quantile regression
• Bootstrap confidence bands and partial linear quantile regression

zbMATH Keywords

bootstrapBahadur representationconfidence intervalsrobustnessregression quantilessimulation resultsprediction intervalsconditional quantilesBrownian bridgeconfidence bandsstudentizationempirical quantile functiondistribution-free approachempirical levelssample regression quantiles

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Nonparametric tolerance and confidence regions (62G15)

Cites Work

• Regression rank scores and regression quantiles
• Approximation Theorems of Mathematical Statistics
• Regression Quantiles
• A resampling method based on pivotal estimating functions
• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• A Note on Quantiles in Large Samples
• Adaptive \(L\)-estimation for linear models
• ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
• The bootstrap and Edgeworth expansion
• Trimmed Least Squares Estimation in the Linear Model
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Asymptotic behavior of regression quantiles in non-stationary, dependent cases
• One-Step Huber Estimates in the Linear Model
• Title not available (Why is that?)
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• L-Estimation for Linear Models
• Tests of linear hypotheses based on regression rank scores
• Coverage probabilities of bootstrap-confidence intervals for quantiles
• Asymptotic Behavior of the Number of Regression Quantile Breakpoints
• Title not available (Why is that?)

Cited In (16)

• Nearly root-\(n\) approximation for regression quantile processes
• Restricted regression quantiles
• On monotonicity of regression quantile functions
• Saddlepoint tests for quantile regression
• Censored quantile regression processes under dependence and penalization
• Small sample performance of quantile regression confidence intervals
• Instability of least squares, least absolute deviation and least median of squares linear regression. (With a comment and a rejoinder).
• Efficient Construction of Test Inversion Confidence Intervals Using Quantile Regression
• Quantile-regression inference with adaptive control of size
• Bahadur representations for bootstrap quantiles
• Using quantile regression for rate-making
• A direct approach to inference in nonparametric and semiparametric quantile models
• Generalized M-estimators for high-dimensional Tobit I models
• Quantile regression for dynamic panel data with fixed effects
• Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification
• Conformal Prediction: A Gentle Introduction

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